Existence of optimal controls for partially observed diffusions

DOI10.1080/17442508308833281zbMath0571.60054OpenAlexW2024760966MaRDI QIDQ3687441

Vivek S. Borkar

Publication date: 1983

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833281

zbMATH Keywords

Zakai equationrandomized controlsoptimal control for partially observed diffusions

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (3)

The probabilistic structure of controlled diffusion processes ⋮ The nisio semigroup for controlled diffusions with partial observations ⋮ Random relaxed controls and partially observed stochastic systems

Cites Work

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• Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory
• On the Existence of Optimal Controls for Partially Observed Diffusions
• Partially Observed Diffusions and Their Control
• Representation of Martingales, Quadratic Variation and Applications
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems

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